Pricing Dividend Protected Options Listed on the Warsaw Stock Exchange

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Miniatura

Data

2007

Tytuł czasopisma

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Wydawca

Wyższa Szkoła Biznesu – National-Louis University by Management Sciences Institute

Abstrakt

Due to the contingent dividend protection feature of the stock options listed on the Warsaw Stock Exchange, the standard Black-Scholes option price formulae do not apply in this case. We derive closed form price formulae and the put-call parity relationship for WSE stock options, and discuss the price differences between the standard and the modified formulae.

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Cytowanie

Nowy Sącz Academic Review, 2007, no. 3, s. 4-13